AsianCall_AppLord {OptionPricing} | R Documentation |
Asian Options - Approximation
Description
The price of an arithmetic average Asian option is computed using the approximation method of Lord.
Usage
AsianCall_AppLord(T=1, d=12, K=100, r=0.05, sigma=0.1, S0=100, all=TRUE)
Arguments
T |
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d |
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K |
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r |
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sigma |
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S0 |
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all |
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Details
AsianCall_AppLord()
uses a sophisticated approximation of Lord (2006).
Value
returns the approximate price.
Author(s)
Kemal Dingec, Wolfgang Hormann
References
Lord, R., Partially Exact and Bounded Approximations for Arithmetic Asian Options, Journal of Computational Finance, Vol. 10, No. 2, pp. 1-52, 2006
See Also
Examples
AsianCall_AppLord(T = 1, d = 12, K = 100, r = 0.05, sigma = 0.25, S0 = 100, all = TRUE)
[Package OptionPricing version 0.1.2 Index]